LQD Options History — April 2018

In April 2018, LQD traded between $114.67 and $117.23. ATM implied volatility averaged 5.1%, placing in the 32.8% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded above realized volatility by 0.9% (HV 20d: 4.2%). Max pain ranged from $116.00 to $119.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 3.31.

Notable Days

  • 2018-04-05: Highest Volume — 62,235 contracts
  • 2018-04-20: Largest IV spike — 10.1% change
  • 2018-04-25: Highest IV Rank — 44.5%
  • 2018-04-25: Largest Expected Move — 1.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$116.28$114.67$117.23$116.98$115.18
Max Pain$117.33$116.00$119.00$117.00$116.00
ATM IV5.1%4.6%5.6%5.3%5.2%
Expected Move1.5%1.3%1.6%1.5%1.5%
HV 20d4.2%3.9%4.5%4.1%3.9%
HV 60d4.8%4.6%4.9%4.8%4.6%
IV Rank32.8%22.1%44.5%36.9%35.8%
IV Percentile72.0%47.6%87.3%79.4%77.8%
Term Structure-0.0%-0.4%0.3%0.1%-0.3%
VWIV5.7%4.9%9.8%5.4%5.3%
Skew 25d1.3%0.6%1.8%0.6%1.3%
Skew 10d3.0%1.8%4.6%3.8%3.2%
Call IV 25d4.7%4.2%5.1%5.1%4.9%
Put IV 25d6.0%5.3%6.6%5.7%6.1%
Bid-Ask Spread %20.1911.6136.0411.6117.57
Gamma HHI0.280.200.400.200.33
Net GEX-57.1M-117.9M-9.4K-28.3M-79.3M
Net DEX234.0M102.0M455.5M102.0M314.4M
Net VEX-2.0M-2.3M-1.7M-1.7M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.312.394.403.773.22
Total Volume54,568.14346,82862,23562,15956,910
Total OI176,369.524156,927189,258156,927166,010

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-04-02$116.98$117.005.3%1.5%4.1%36.9%5.4%0.6%0.1%-28.3M102.0M-1.7M3.7711.6113,04549,11431,140125,787
2018-04-03$116.64$117.005.1%1.4%4.3%32.5%5.2%0.8%-0.0%-49.1M171.5M-2.0M3.7612.7513,07549,12634,138136,902
2018-04-04$116.68$117.005.1%1.5%4.3%33.8%5.2%0.9%-0.0%-47.9M167.6M-2.0M3.6716.8912,88247,25334,135136,961
2018-04-05$116.65$119.005.1%1.5%4.3%33.6%9.8%1.5%-0.1%-70.0M227.1M-2.3M2.9425.2715,80946,42634,281141,597
2018-04-06$117.02$118.004.9%1.5%4.4%28.7%6.3%1.2%-0.2%-37.3M139.5M-2.1M4.2326.1610,39143,94836,049142,798
2018-04-09$117.13$118.005.0%1.4%4.1%31.8%6.2%1.4%0.0%-32.1M127.6M-2.1M4.3228.9610,13143,78036,144143,948
2018-04-10$117.13$118.005.1%1.5%4.1%33.6%5.9%1.2%-0.2%-34.9M130.1M-2.1M4.4027.9110,08444,40036,966143,998
2018-04-11$117.23$118.005.1%1.4%4.1%32.5%5.2%1.5%-0.1%-28.7M116.3M-2.1M2.9936.0412,83038,35036,966147,380
2018-04-12$116.94$118.004.8%1.4%4.2%27.7%5.1%1.1%0.2%-28.0M154.7M-2.1M3.0517.3112,67638,70640,495147,422
2018-04-13$116.97$118.004.8%1.4%4.2%27.5%5.1%1.1%0.3%-24.5M142.8M-2.1M3.0912.8612,58938,87940,924147,574
2018-04-16$116.94$118.004.9%1.4%4.1%28.3%5.1%1.8%0.1%-19.1M152.2M-2.1M2.9915.4612,56137,60641,516147,600
2018-04-17$117.01$118.004.6%1.3%4.0%22.1%4.9%1.4%0.2%-9.4K123.9M-2.0M3.0014.9612,51237,50841,505147,643
2018-04-18$116.43$118.004.7%1.4%4.1%25.4%4.9%1.0%0.2%-58.9M240.9M-2.0M2.9314.9012,55536,82841,504147,626
2018-04-19$115.95$118.004.8%1.4%4.4%26.3%5.0%1.3%0.2%-117.9M320.0M-2.0M3.3332.8110,80636,02241,547147,128
2018-04-20$115.50$117.005.3%1.5%4.5%36.9%5.6%1.2%0.0%-83.8M362.5M-2.0M4.3127.8310,11943,57542,311146,947
2018-04-23$115.41$117.005.2%1.5%4.4%36.4%5.2%1.6%-0.1%-95.1M367.5M-2.0M2.4022.3015,11036,24731,860129,657
2018-04-24$115.04$116.005.2%1.5%4.4%36.3%6.1%1.5%0.1%-97.9M407.4M-1.9M2.6815.8713,21435,35133,337130,541
2018-04-25$114.67$116.005.6%1.6%4.2%44.5%5.8%1.7%-0.0%-95.8M455.5M-1.9M2.3915.1118,18943,45033,308130,713
2018-04-26$115.09$116.005.3%1.5%4.3%37.1%5.4%1.6%-0.3%-90.8M370.4M-1.9M3.1016.5314,67645,45036,079127,164
2018-04-27$115.33$116.005.4%1.5%4.0%40.2%6.3%1.4%-0.4%-79.9M320.0M-2.0M2.9314.8813,66440,08437,063127,096
2018-04-30$115.18$116.005.2%1.5%3.9%35.8%5.3%1.3%-0.3%-79.3M314.4M-2.0M3.2217.5713,47943,43139,862126,148